Equilibrium under Uncertain Inflation: A Discrete Time Approach
研究不确定通胀下资产组合选择的一般情况，发现名义与真实有效集在均值方差分析和期望效用最大化下不一致，并推导出真实CAPM。
Most research dealing with portfolio selection under uncertain inflation is carried out by assuming either one of the following two approximations: a linear or a quadratic approxi? mation. In this paper, we analyze the general case, namely assume that the nominal return is the product of the real return and one plus the rate of inflation. We demonstrate that the general analysis leads to the following results that are not found in the two approxima? tions: (1) even if we assume that nominal returns are independent of inflation, the nominal and real efficient sets will not necessarily coincide. Mean-Variance (M-V) analysis leads to a nominal efficient set, that is, a subset of the real M-V efficient set, whereas the oppo? site holds assuming investors maximize expected utility of real wealth. (2) Similar results are obtained when real returns are independent of inflation (the Fisher hypothesis). As? suming normality of nominal returns, we derive the CAPM in real terms or its zero beta counterpart.